There are many types of filters, but filters of some sort are used on nearly every professional production. The most common are neutral density filters or ND filters, which are used to reduce the amount of light. Even a production that appears to use no filters may have used these filers to control the exposure, either on the whole frame or part of the frame. ND filters are so important that many cameras have them built into the camera.

Filters can also be used for colour correction, especially on film, but digital and video cameras may also use them instead of using a white balance.

Filters are a creative tool that can be used to create a particular look. Many of these looks can now be achieved in post, but many cinematographers do like having the control of creating things in the camera.

There are so many available it's best to look through a manufacturer's web site:

It is also a lot more common to shoot with the lens wide open these days, so there is less contrast and sharpness to the image overall. Some DP's like to use vintage lenses in place of lens diffusion, or even in combination. When you add soft lighting to that, the image often just turns to mush.

The 1st AC's often have trouble seeing sharps on their monitor even with peaking turned all the way up under those conditions because of lack of contrast, so you may see more focus buzzes as well.

I pulled my personal list of new releases I saw in theaters starting in the fall and marked the ones that had visible diffusion filtration for the bulk of the movie:

Guardians of the Galaxy

Hercules

The Trip to Italy

Noah

Frank

Gone Girl

The Judge(diffusion)

Birdman

Fury

Interstellar

The Theory of Everything(diffusion)

The Hunger Games: Mockingjay Pt.1

The Imitation Game

Flamenco, Flamenco

The Pyramid

Exodus: Gods and Kings (3D)

The Hobbit: The Battle of the Five Armies(IMAX 3D HFR)(digital diffusion)

Inherent Vice

Mr. Turner

Big Eyes (digital diffusion)

Into The Woods (?)

Selma

Unbroken

Now the ones that I didn't notice camera filtration or post diffusion had various degrees of sharpness and may have occasionally slipped something subtle on the lens for a particular close-up, but I think the differences in sharpness are more to do with lens choice, shooting stop, use of smoke, etc. "Big Eyes" may have also done some optical diffusion now and then, though the DP is well-known for shooting clean and diffusing in post. And I can't recall whether I saw diffusion effects on "Into the Woods", post or in-camera. So much of the movie was shot in smoked stages that it is hard to tell.

"The Judge" and "The Theory of Everything" were the two where I clearly saw the artifacts of lens diffusion, though in "The Theory of Everything" it varied quite a bit, I suspect the use of diffusion was mainly for the earlier scenes.